Cyclical risk exposure of pension funds: a theoretical framework

DOI10.1016/j.insmatheco.2005.04.001zbMath1242.91222OpenAlexW2063534252MaRDI QIDQ882873

Francesco Menoncin

Publication date: 24 May 2007

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2005.04.001

zbMATH Keywords

stochastic dynamic programmingPAYGPension funds

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80)

Related Items (2)

Fair demographic risk sharing in defined contribution pension systems ⋮ Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates

Cites Work

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• Pensionmetrics: Stochastic pension plan design and value-at-risk during the accumulation phase

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